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m I have made clear what is the relation between bond price and spot rate in the "Background" section of affine term structure model |
Mersenne56 (talk | contribs) Created references list, changed "References" to "Further reading" |
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{{expert-subject|date=December 2012|reason=Confirmation, details on the Affine Term Structure Model.}}
An '''affine term structure model''' is a [[financial model]] that relates [[zero-coupon bond]] prices (i.e. the discount curve) to a [[spot rate]] model. It is particularly useful for ''deriving the [[yield curve]]'' – the process of determining spot rate model inputs from observable [[bond market]] data. The affine class of term structure models implies the convenient form that log bond prices are linear functions of the spot rate<ref>{{Cite journal|last=Duffie|first=Darrell|last2=Kan|first2=Rui|date=1996|title=A Yield-Factor Model of Interest Rates|url=https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1467-9965.1996.tb00123.x|journal=Mathematical Finance|language=en|volume=6|issue=4|pages=379–406|doi=10.1111/j.1467-9965.1996.tb00123.x|issn=1467-9965}}</ref> (and potentially additional state variables).
== Background ==
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== References ==
<references />
== Further reading ==
*{{cite book | author=Bjork, Tomas | title=Arbitrage Theory in Continuous Time, third edition| year=2009 | publisher = New York, NY: [[Oxford University Press]] | isbn = 978-0-19-957474-2}}
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